CRM: Centro De Giorgi
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Summer School on "Computational Methods in Finance and Economics"

9 September 2024 - 13 September 2024

Planned Activities

The school introduces to selected numerical/computational methods with programming examples/exercises in Matlab, Python and C++. The methods include linear algebra, quadrature, Monte Carlo, the Fourier transform, numerical optimisation and model calibration. Notable applications are derivatives pricing in finance and simple agent-based models in economics.


Morning (Monday through Friday)

9:00 - 10:30 lecture
10:30 - 11:00 coffee break
11:00 - 12:30 lecture

Afternoon (Monday through Thursday)

15:00 - 16:00 exercises
16:00 - 16:30 coffee break
16:30 - 17:30 exercises

Three hours of theoretical lectures in the morning from Monday to Friday; two hours of applications and exercises, including supervised coding, in the afternoon from Monday to Thursday.